Do Fundamentals Still Drive Market Prices? Or Have ETFs Taken Over?
What causes a stock's price to move? A great question, and one that puzzles most market observers every day. Since this is puzzling, it is [...]
Artificial Intelligence and Value Investing
Artificial Intelligence and Value Investing Korok Ray Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our summaries [...]
For Consistency Across Market Conditions, Try a Quant Manager
The Impact of Market Conditions on Active Equity Management Harsh Parikh, Karen McQuiston, and Sujian Zhi Journal of Portfolio Management A version of this paper [...]
Podcast: Momentum in Theory, Momentum in Practice (Jack)
Here is a link to our podcast on Flirting with Models. Today I am speaking with Jack Vogel, co-CIO of boutique ETF issuer Alpha Architect. [...]
Explaining the Beta Anomaly
The superior performance of low-beta and low-volatility stocks was documented in the literature back in the 1970s — by Fischer Black (in 1972) among others [...]
Podcast: Corporate Bankruptcy with Kate Waldock (Wes)
Here is a link to our podcast on Behind the Markets In this episode of Behind the Markets Jeremy and Wes talk to Kate Waldock, [...]
Financial Constraints Generate a 6.5% 5-Factor Fama-French Alpha?
Are Financial Constraints Priced? Evidence from Textual Analysis Matthias Buehlmaier and Toni Withed Review of Financial Studies, forthcoming A version of this paper can be found here [...]
Fund of Funds Selection of Mutual Funds: Are Managers Skilled At It?
Fund of Funds Selection of Mutual Funds Edwin Elton, Martin Gruber and Andre de SouzaCritical Finance Review, forthcomingA version of this paper can be found hereWant to [...]
Why you should trust the investment process (even though it’s hard)
In this article, we discuss why trusting an investment process can be very hard, and how you should approach the challenge. Trust the Process - [...]
A Smarter CAPE Ratio to Better Forecast Expected Stock Returns
Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach Joseph Davis, Roger Aliaga-Diaz, Harshdeep Ahluwalia, and Ravi Tolani Journal of Portfolio Management A version of [...]
The 52 Week High and the Q-Factor Investment Model
In the past, we have examined the following two topics: (1) stock performance & the 52-week high and (2) the investment CAPM. When examining the [...]
Commodities for the Long Run
Commodities for the Long Run Ari Levine, Yao Hua Ooi, Matthew Richardson, Caroline Sasseville Financial Analyst Journal, forthcoming A version of this paper can be found here [...]
The Future for Factor Investing May Be Different Than its Backtested Past
We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time. Many are common sense [...]
Machine Learning for Financial Market Prediction — Time Series Prediction With Sklearn and Keras
Recently, Wes pointed me to this interesting paper by David Rapach, Jack Strauss, Jun Tu and Guofu Zhou: "Dynamic Return Dependencies Across Industries: A Machine [...]
The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market
Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance [...]
Factor Regressions Problems and How to Fix Them
Factor Regressions are one way to ascertain a fund's exposure to certain factors that an investor/advisor may want to allocate towards, such as Value, Momentum, [...]
Sharpening the Arithmetic of Active Management
For many investors, the superiority of passive investing over active investing is axiomatic (Earth to passive investors; Lunch is never free!) And why not? Study [...]
Style Investing in Fixed Income
Style Investing in Fixed Income Jordan Brooks,Diogo Palhares, Scott Richardson Journal of Portfolio Management, Special Issue 2018 A version of this paper can be found here [...]
Investor Attention and the Low Volatility Anomaly
One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it [...]
Technical Analysis in the Chinese Stock Market: Does it Work?
Technical Analysis Profitability Without Data Snooping Bias: Evidence from Chinese Stock Market Fuwei Jiang, Guoshi Tong and Guokai Song International Review of Finance A version [...]